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Une évaluation des procédures de Backtesting : « Tout va pour le mieux dans le meilleur des mondes »
| Content Provider | Semantic Scholar |
|---|---|
| Author | Hurlin, Christophe Tokpavi, Sessi |
| Copyright Year | 2008 |
| Abstract | This paper proposes an evaluation of backtests that examine the accuracy of Value-at-Risk (VaR) forecasts. It is well known that VaR backtesting procedures outlined by the Basel Committee for Banking Supervision have limited power to control the probability of accepting an incorrect VaR forecast. In this study, we propose an original approach based on the replication of these tests on six different VaR forecasts (parametric or non parametric) for a given asset. We show that backtests generally lead to not reject the accuracy of all (or most of) these different forecasts. In other words, most of VaR forecasts are likely to be considered as valid. |
| Starting Page | 53 |
| Ending Page | 80 |
| Page Count | 28 |
| File Format | PDF HTM / HTML |
| DOI | 10.3917/fina.291.0053 |
| Volume Number | 29 |
| Alternate Webpage(s) | https://halshs.archives-ouvertes.fr/halshs-00159846/document |
| Alternate Webpage(s) | https://doi.org/10.3917/fina.291.0053 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
